Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

AQO is a short term momentum strategy with trades lasting 8 days on average. Trades are filtered for maximum volatility expansion potential and are timed using short term trade entry techniques. Trading systems are weighted within the portfolio based on their contributions to targeted volatility and drawdown levels. Integrated risk models manage risks by monitoring volatility metrics, market liquidity and sector exposure limits.

Performance Statistics

Date Range: 04/99 - 04/19

Program

S&P 500

Altegris 40

Total Return

540.00%

236.35%

138.91%

Annualized Return

9.73%

6.23%

4.43%

Annualized Std. Deviation

19.95%

14.48%

9.96%

Correlation

-0.10

0.66

Sharpe Ratio (rf=2.5%)

0.36

0.26

0.19

Worst Month

-13.71%

-16.79%

-7.77%

Date of Worst Month

02/2002

10/2008

11/2001

Worst Drawdown

-29.37%

-50.95%

-15.74%

Date of Worst Drawdown

2/16 - 8/17

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/99 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

-7.95

18.24

5.17

2018

5.30

-4.38

-4.29

2017

-12.95

21.84

1.24

2016

6.81

11.98

-3.13

2015

5.68

1.41

0.09

2014

16.27

13.69

15.75

2013

15.91

32.41

-2.45

2012

0.89

15.98

-4.75

2011

-4.07

2.12

-3.23

2010

20.11

15.06

11.33

2009

-11.73

26.45

-7.98

2008

55.77

-36.99

15.47

2007

18.13

5.50

7.18

2006

25.72

15.79

6.70

2005

0.03

4.89

4.51

2004

-11.44

10.87

2.57

2003

2.73

28.69

15.99

2002

39.95

-22.10

15.22

2001

17.18

-11.88

5.39

2000

44.29

-9.09

10.63

1999

-2.44

11.01

-0.26

Note: Estimates appear in italics. All performance data is since program inception.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.